Financial Markets and Complexity: Uncertainty, Heterogeneous Micro Agents and Aggregate Outcomes| Projektleitung: | Mark Salmon, University of Warwick, UK | | Beteiligte: | Prof. Dr. Thomas Lux, Dr. Leonardo Morales-Arias, M.A., Priv.-Doz. Dr. Reiner Franke, Prof. Simone Alfarano, Markus Demary, Xiakoang Wang, Payam Norouzzadeh, Dr. Mishael Milakovic, Prof. Dr. Friedrich Wagner | | Förderer: | European Union | Mitwirkende
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| University of Warwick | | University of Kiel | | University of Amsterdam | | University of Aix Marseille III | | Abdus Salam International Center for Theoretical Physics | | Stichwörter: | Volatility; Heterogeneity;Complexity | | Laufzeit: | 1.5.2005 - 31.12.2008 | | Inhalt und Ziele: | The proposed research seeks to analyse financial markets as complex systems of interacting heterogeneous agents using tools drawn from mathematics, physics and economics. An important element of the proposal is to incorporate within this an analysis of how human beings take decisions within complex systems of which they have a poor understanding. Hence we will also draw on behavioural motivations and psychology in order to better understand decision making under uncertainty within complex systems.
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Finanzmärkte als komplexe Netzwerke| Projektleitung: | Prof. Dr. Thomas Lux | | Beteiligte: | Prof. Dr. rer. nat. Albrecht Irle, (pens.), Prof. Dr. Friedrich Wagner, Dr. Mishael Milakovic, Prof. Simone Alfarano | | Förderer: | VW-Stiftung | Mitwirkende
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| Christian- Albrechts- Universität zu Kiel | | Stichwörter: | Netzwerkstrukturen; Verhaltensparameter; ökonomische Prozesse | | Laufzeit: | 1.9.2007 - 31.12.2010 | | Inhalt und Ziele: | Prices and returns in financial markets exhibit robust statistical regularities across space and time. We argue that the network structure among financial market participants (investors, traders, analysts, service providers, institutional platforms, etc.) is of crucial importance for the generation of these regularities, but has been neglected to a large extent until now. As a starting point, we illustrate how a simple model with hierarchical superstructures in complex networks could explain these statistical regularities. Our project focuses (i) on an inverse identification of relevant network structures, given the statistical regularities of financial returns; (ii) on the calibration of behavioral parameters in these complex hierarchical networks; and (iii) on economically motivated processes that are capable of generating such complex hierarchical networks.
| | Kontakt: | Lux, Thomas
Telefon +49 431 880-3661, Fax +49 431 880-4383, E-Mail: lux@economics.uni-kiel.de
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Multifraktale Modelle von Finanzrenditen: Multivariate Erweiterungen, empirische Schätzung und Anwendung im Risikomanagement| Projektleitung: | Prof. Dr. Thomas Lux | | Beteiligte: | Dr. Leonardo Morales-Arias, M.A. | | Förderer: | DFG | Mitwirkende
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| Christian- Albrechts- Universität zu Kiel | | Stichwörter: | Multifractal models; Risk Management | | Laufzeit: | 1.12.2008 - 31.12.2010 | | Inhalt und Ziele: | One major task will be the development of appropriate statistical methodology for multivariate multifractal models. We will investigate the behavior of various extensions and explore the use of multifractal models for risk management and portfolio management. Further research includes the analysis of the role of innovations vis-à-vis the intrinsic volatility dynamics as well as the adaptation of the multifractal model to measures of realized volatility. Given the evidence on multi-scaling of many physical time series, we also expect that the methodological innovations in financial applications will generate spill over effects to the application of multifractal models in the natural science (for example, improved forecasts of precipitation).
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